Word info

cointegration

Noun

Meaning

English Wikipedia has an article on:cointegrationWikipedia
cointegration (countable and uncountable, plural cointegrations)

(mathematics) The condition of two non-stationary time series whose linear combination is stationary

Source: en.wiktionary.org

Examples

A potentially useful property of forecasts based on cointegration is that when extended some way ahead, the forecasts of the two series will form a constant ratio, as is expected by some asymptotic economic theory. Clive Granger

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